Opalesque Industry Update - Abstract This paper proposes a new measure of strategy distinctiveness for hedge funds, termed the Dispersion Contribution Index (DCI). This measure is based on a fund's return-distance from the mean return of same-style funds. We find that funds with more distinctive strategies tend to underperform relative to their less distinctive peers, after accounting for their idiosyncratic characteristics. This relative underperformance stems primarily from the higher risk exposure associated with pursuing a unique strategy. Our findings are robust to a wide array of additional tests. Download the paper here: Article source - Opalesque is not responsible for the content of external internet sites |